Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.1719 |
| Annualized Std Dev | 0.7422 |
| Annualized Sharpe (Rf=0%) | -0.2316 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3098.0000 |
| NAs | 1.0000 |
| Minimum | -0.4292 |
| Quartile 1 | -0.0224 |
| Median | -0.0008 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | -0.0007 |
| Quartile 3 | 0.0220 |
| Maximum | 0.5224 |
| SE Mean | 0.0008 |
| LCL Mean (0.95) | -0.0013 |
| UCL Mean (0.95) | 0.0020 |
| Variance | 0.0022 |
| Stdev | 0.0468 |
| Skewness | 0.4978 |
| Kurtosis | 16.0195 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0322 |
| Gain Deviation | 0.0361 |
| Loss Deviation | 0.0330 |
| Downside Deviation (MAR=210%) | 0.0364 |
| Downside Deviation (Rf=0%) | 0.0321 |
| Downside Deviation (0%) | 0.0321 |
| Maximum Drawdown | 0.9574 |
| Historical VaR (95%) | -0.0656 |
| Historical ES (95%) | -0.1047 |
| Modified VaR (95%) | -0.0546 |
| Modified ES (95%) | -0.0546 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-02-19 | 2021-03-11 | NA | -0.9574 | 3043 | 3036 | NA |
| 2008-12-26 | 2009-01-06 | 2009-02-13 | -0.4772 | 34 | 7 | 27 |
| 2008-12-08 | 2008-12-11 | 2008-12-22 | -0.2624 | 11 | 4 | 7 |
| 2008-11-26 | 2008-11-26 | 2008-12-01 | -0.1536 | 3 | 1 | 2 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 9.3 | -19.6 | -12.2 |
| 2009 | -0.8 | 1.7 | 3 | -7.9 | -5.7 | 3 | -7.3 | 4.3 | 0.1 | 7.3 | -2.4 | -0.4 | -6.2 |
| 2010 | -5.8 | 2.3 | -4.5 | -2.2 | 5.3 | 6.5 | -1.4 | -5.5 | -4.5 | -3.5 | -6.1 | -4.1 | -22 |
| 2011 | 2.9 | -6.4 | -2.7 | -1.5 | 4.8 | 0.3 | 1.2 | 0.2 | 9.5 | 3 | 0.8 | 1.3 | 13.3 |
| 2012 | 2.3 | -4 | 0.2 | -2.2 | 7.3 | -16.4 | -2.8 | -3.4 | -0.7 | -1.8 | -2.4 | -1.8 | -24.1 |
| 2013 | -0.2 | 2 | 0.3 | 4.4 | 3.7 | -2.9 | -4.9 | 0.3 | 1.1 | 3.1 | -1.7 | 1.2 | 6.1 |
| 2014 | 0.9 | -0.5 | 4.1 | 1 | 1.2 | -0.1 | 0.8 | -2.2 | 1.4 | 0.5 | -7 | -0.8 | -0.9 |
| 2015 | -14.4 | -2.5 | -9 | 0.5 | -0.4 | 7.5 | 6.4 | 13.3 | 1.5 | -2.9 | -0.2 | -1.7 | -4.6 |
| 2016 | 13.8 | -2.7 | 7.8 | -1.2 | -1 | -3.2 | 7.1 | 5.5 | -1.4 | -0.9 | -6.9 | 0.1 | 16 |
| 2017 | -2.8 | 0.8 | -1.3 | 1.4 | 0.8 | -5.7 | 4 | -0.7 | 0 | 0.4 | -3.5 | -0.7 | -7.4 |
| 2018 | -3.8 | 0.2 | -0.8 | 2.7 | 4.6 | -2.4 | 2.7 | 0.4 | -5.6 | 4.9 | 2.5 | -3.1 | 1.5 |
| 2019 | -5 | 4.9 | -5 | 0.9 | 11.7 | -3.7 | 11.2 | 5.4 | 2.6 | -7.3 | 8.5 | 1.6 | 26.4 |
| 2020 | 4.5 | 6.3 | -7.3 | 4.7 | -2.7 | -2.2 | -1.1 | -0.9 | 5.1 | 1.7 | 2.3 | -0.5 | 9.6 |
| 2021 | -5.1 | 3.6 | -5.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -6.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-11-25 70.6 SPY 85.7 0.0074 -0.0163 0.0204 -0.334 -0.399 -0.326 -0.189 GLD 80.9 -0.0005 0.115
2 2008-11-26 59.8 SPY 89.0 0.0386 0.0917 -0.0511 -0.317 -0.395 -0.300 -0.161 GLD 80.4 -0.0061 0.112
3 2008-11-28 66.8 SPY 90.1 0.0126 0.194 -0.0321 -0.300 -0.388 -0.286 -0.153 GLD 80.3 -0.0009 0.0934
4 2008-12-01 73.0 SPY 82.1 -0.0886 0.0326 -0.147 -0.358 -0.448 -0.349 -0.229 GLD 75.6 -0.058 -0.0406
5 2008-12-02 78.3 SPY 85.3 0.0385 0.0028 -0.119 -0.333 -0.423 -0.320 -0.208 GLD 77.0 0.0172 -0.0489
6 2008-12-03 80 SPY 87.3 0.024 0.0194 -0.101 -0.296 -0.403 -0.311 -0.186 GLD 76.2 -0.01 -0.058
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
